Particles come in two kinds: fermions that make up all matter such as baryons and mesons ( electrons, quarks are examples) and gauge bosons that carry interactions ( such as photons, W and Z, gluons and gravitons). All particles known are made of these. Some theories, such as superstring theory, also require super symmetric partners. None of those has been discovered to date.
What kind of particles? Dust particles are made mostly of dead skin cells. Subatomic particles are currently the smallest particles we can make by atom smashing. String theory says there are tiny particles of vibrating energy that come together to make everything (if true).